Article ID Journal Published Year Pages File Type
10482072 Physica A: Statistical Mechanics and its Applications 2013 10 Pages PDF
Abstract
► A generalized Ornstein-Uhlenbeck (OU) process. ► Instead of Gaussianity and stationarity the model assumes linearity and time-homogeneity. ► Our model offers a good improvement compared with the traditional OU process.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Mathematical Physics
Preview
Generalized Ornstein-Uhlenbeck process by Doob's theorem and the time evolution of financial prices
Authors
, , , ,